Just to sort of synthesize what everybody's said here:
To add to what Ctho said, I think that a laptop brick is really not much more sophisticated than the bricks that you find with printers, phones, answering machines, etc. Perhaps it does a bit more filtering to give cleaner/more consistent voltage but it's really just a transformer, converting AC wall power to DC (I think mine is 19V.).
The insides of a laptop (i.e. RAM, processor, hdd, etc.) obviously require multiple voltages and the hardware for doing that is just built into the laptop, I guess. As Jerboy said, it's kind of a closed system, so the components can be specifically designed and therefore can be smaller. Also, as Hans said, the overall power requirements are less with a laptop.
I guess that the external brick is like the largest part of a PSU (the toroidial transformer) (well I guess the heatsinks could be larger) and all the other filters, capacitors etc. that divide out the different voltages in a PSU are just built into the motherboard of the laptop. I guess the main benefit of having an external transformer is the heat savings... those things can get pretty hot.